Open up a command prompt window. This is performed by typing "command" at the run box on the start menu.
From the black box that pops up, navigate to your Desktop directory...try "cd C:\windows\desktop" only without the quotes.
Then type "dir", again without the quotes. Look for the filename that you're trying to delete. If say, the filename is "movie3 .mpg" on your desktop, then it's likely there is a "special" character after the 3.
There may be an extended ASCII character in the files name. Windows doesn't know how to interpret that, so it basically gives up when you try to delete it. It just doesn't understand it.
It made for some interesting fun years ago...heh. Drove people completely nuts!
Anyway, lemme know what the dir command shows for that particular file. :)